generalized autoregressive conditional heteroskedasticity (GARCH (1,1)) regression models to fully investigate the impact of … exchange rate on stock markets. For further investigation, the GARCH (1,1) model is run twice for each country with and without … evidenced a significant negative impact. The results of the GARCH (1,1) add that the inclusion of exchange rate in the model …

generalized autoregressive conditional heteroskedasticity (GARCH (1,1)) regression models to fully investigate the impact of … exchange rate on stock markets. For further investigation, the GARCH (1,1) model is run twice for each country with and without … evidenced a significant negative impact. The results of the GARCH (1,1) add that the inclusion of exchange rate in the model …

between the REIT market and macroeconomic factors. Ultimately, downside risk of REIT market is assessed by the GARCH(1,1)-VaR …

(1,1) models, and VAR-based impulse response functions are employed. The results reveal that the stock market reaction to … countries - Italy and Spain. To reach the aim of the research OLS regression models, heteroscedasticity-corrected models, GARCH …

, GARCH (1,1)) both have been used to estimate the VaR of mutual funds in the Saudi Stock Exchange between June 2017 and June … models at a higher significance level followed by GARCH (1,1). …

(1,1) models, and VAR-based impulse response functions are employed. The results reveal that the stock market reaction to … countries - Italy and Spain. To reach the aim of the research OLS regression models, heteroscedasticity-corrected models, GARCH …